You are here

Current risk management themes in finance and investments

Wednesday 21 November 2018 15:30

Spaces available

The event is suitable for qualified and nearly qualified actuaries who work in investments or have an interest in this area.

Speakers at this event will cover topics on the age of peak LDI, hedging inflation linked liabilities and challenges facing Solvency II internal model risk calibrations.  At the end of the event, there will be a networking drinks reception, which will provide delegates the opportunity to network with fellow attendees.

15.30 - 16.00 Registration
16.00 - 17.00

Hedging Inflation- Indexed Liabilities: RPI versus CPI/CPI-H 

Following recent statutory changes a portion of RPI linked pension liabilities now increase in line with CPI. The presentation will cover the impact of this change and how insurance companies and pension funds can hedge this new inflation exposure. We will discuss sources of supply of CPI/CPI-H linkage both current and future (including possible issuance from the DMO). We will also cover the CPI-H index and the implications of a further change in statutory revaluation.

Panellists: Udit Kapoor, HSBC

17.00 - 18.00

Coming age of ‘Peak LDI’

Liability Driven Investment has been one of the dominant trends in UK DB pension investment in the past 15 years.

 But given the high level of hedging now in place, we present analysis suggesting that the current pace of new hedges can only continue until 2021 at the latest.

 We believe the UK is now transitioning into the Age of Peak LDI - where schemes will only increase hedging at the margin or in an opportunistic manner.

 We then look at what impact this abrupt change could have on both gilt yields and scheme funding levels.

 Speakers: Paul Fulcher and Richard Boardman, Nomura and Jon Hatchett, Hymans

18.00 - 19.00

Overlapping data

In this session, the extreme events working party consider several methods of addressing the issues linked to overlapping data following its most recent research initiative

 Under the European Solvency II regulations, insurance firms are required to use a one-year VaR (Value at Risk) approach.  This involves a one-year projection of a market consistent balance sheet and requires sufficient capital to be solvent in 99.5% of outcomes. The Solvency II Internal Model risk calibrations require annual changes in market indices / term structure for the estimation of the risk distribution for each of the Internal Model risk drivers. This presents a significant challenge for calibrators in terms of:

  • Robustness of the calibration that is relevant to the current market regimes and at the same time able to represent the historically observed worst crisis;
  • Stability of the calibration model year on year with arrival of new information;

The above points need careful consideration to avoid credibility issues with the SCR calculation, in that the results are subject to high levels of uncertainty.

Panellists: Parit Jakhria and James Sharpe


19.00 - 19.30 Drinks Reception




Staple Inn Hall

High Holborn



Nearest Public Transport

Chancery Lane Station

Pricing information

Book Now

Login and continue to booking.